Hedge Fund Investment: Optimal Portfolios with Regime-Switching.
We investigate the benefits of including hedge funds into a portfolio of stocks, bonds, and commodities. We use a multivariate canonical vine copula regime-switching model which allows for non-linearity, asymmetry, and time variation in hedge fund returns. We find that the willingness to pay to acce...
| Publicado en: | Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 41 |
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| Autores principales: | , |
| Formato: | Artículo |
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Oxford University Press / USA
2026
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=194637003&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 194637003 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: 2026 vid: 24 iid: 3 pid: 622 pub: Oxford University Press / USA artinfo: ui: 194637003 10.1093/jjfinec/nbag009 ppf: 1 ppct: 40 formats: tig: atl: Hedge Fund Investment: Optimal Portfolios with Regime-Switching. aug: au: Heinen, Andréas Valdesogo, Alfonso affil: CNRS, THEMA, CY Cergy Paris Université, Cergy-Pontoise 9500, France Department of Applied Economics, Universitat de les Illes Balears, Palma 07122, Spain su: Risk aversion Portfolio management (Investments) Asset allocation Investment pools Markov processes Statistical models Investment policy Market volatility sug: subj: Risk aversion Balanced funds / asset allocation funds Portfolio Management Portfolio management (Investments) Asset allocation Investment pools Markov processes Statistical models Investment policy Market volatility keyword: asymmetric dependence C32 C53 C58 canonical vine copyrightHolder:Oxford University Press copyrightYear:2026 G11 hedge funds inLanguage:en multivariate copula optimal portfolio publisher:Oxford University Press regime-switching sameAs:https://dx.doi.org/10.1093/jjfinec/nbag009 asymmetric dependence C32 C53 C58 canonical vine copyrightHolder:Oxford University Press copyrightYear:2026 G11 hedge funds inLanguage:en multivariate copula optimal portfolio publisher:Oxford University Press regime-switching sameAs:https://dx.doi.org/10.1093/jjfinec/nbag009 ab: We investigate the benefits of including hedge funds into a portfolio of stocks, bonds, and commodities. We use a multivariate canonical vine copula regime-switching model which allows for non-linearity, asymmetry, and time variation in hedge fund returns. We find that the willingness to pay to access hedge funds is about 4 cents per dollar, and it increases with risk aversion; the weights in hedge funds show an inverse U-shape with risk aversion; hedge funds tend to replace stocks (bonds) for risk-averse (risk-tolerant) investors; investing in hedge funds increases historical returns only until 2008, but reduces volatility even after. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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